Professoren
Prof. Dr. Nikolaus Hautsch

Prof. Dr. Nikolaus Hautsch

Books and Monographs

Wolfgang Härdle, Nikolaus Hautsch and Ludger Overbeck (2008):
"Applied Quantitative Finance" 2nd ed., Springer, Berlin.

Nikolaus Hautsch (2004): "Modelling Irregularly Spaced Financial Data – Theory and Practice of Dynamic Duration Models", Lecture Notes in Economics and Mathematical Systems, Vol. 539, Springer-Verlag, Berlin.


Articles in Journals

Nikolaus Hautsch (2008): “Capturing Common Components in High-Frequency Financial Time Series: A Multivariate Stochastic Multiplicative Error Model”, Journal of Economic Dynamics and Control, 32, 3978-4009.

Anthony D. Hall and Nikolaus Hautsch (2007): “Modelling the Buy and Sell Intensity in a Limit Order Book Market”, Journal of Financial Markets, 10 (3), 249-286.

Frank Gerhard and Nikolaus Hautsch (2007): “A Dynamic Semiparametric Proportional Hazard Model“, Studies in Nonlinear Dynamics & Econometrics, 11(2), Article 1, http://www.bepress.com/snde/vol11/iss2/art1.

Nikolaus Hautsch and Dieter Hess (2007): “Bayesian Learning in Financial Markets – Testing for the Relevance of Information Precision in Price Discovery”, Journal of Financial and Quantitative Analysis, 42(1), 189-208.

Luc Bauwens and Nikolaus Hautsch (2006): “Stochastic Conditional Intensity Processes”, Journal of Financial Econometrics, 4, 450-493.

Anthony D. Hall and Nikolaus Hautsch (2006): “Order Aggressiveness and Order Book Dynamics”, Empirical Economics, 30, 973-1005.

Nikolaus Hautsch (2003): “Assessing the Risk of Liquidity Suppliers on the Basis of Excess Demand Intensities”, Journal of Financial Econometrics, 1(2), 189-215.

Nikolaus Hautsch and Joachim Inkmann (2003): “Optimal Hedging of the Currency Exchange Risk Exposure of Dynamically Balanced Strategic Asset Allocations”, Journal of Asset Management, 4(3), 173-198.

Nikolaus Hautsch and Stefan Klotz (2003): “Estimating the Neighborhood Influence on Decision Makers: Theory and an Application on the Analysis of Innovation Decisions”, Journal of Economic Behavior and Organization, 52, 97-113.

Frank Gerhard and Nikolaus Hautsch (2002): “Volatility Estimation on the Basis of Price-Intensities”, Journal of Empirical Finance, 9, 57-89.

Nikolaus Hautsch and Dieter Hess (2002): “The Processing of non-anticipated Information in Financial Markets: Analyzing the Impact of Surprises in the Employment Report”, European Finance Review, 6, 133-161.

Nikolaus Hautsch and Winfried Pohlmeier (2002): “Econometric Analysis of Financial Transaction Data: Pitfalls and Opportunities”, Journal of the German Statistical Association (Allgemeines Statistisches Archiv), 86, 5-30.


Handbook Articles and Book Chapters

Nikolaus Hautsch and Yangguoyi Ou (2008): “Stochastic Volatility Estimation Using Markov Chain Simulation”, in: “Applied Quantitative Finance”, 2nd, W. Härdle, N. Hautsch and L. Overbeck (eds.), Springer, Berlin.
working paper version

Nikolaus Hautsch and Vahidin Jeleskovic (2008): “High-Frequency Volatility and Liquidity“, in: “Applied Quantitative Finance”, 2nd, W. Härdle, N. Hautsch and L. Overbeck (eds.), Springer, Berlin.
working paper version

Wolfgang Härdle, Nikolaus Hautsch, and Uta Pigorsch (2008): “Measuring and Modeling Risk Using High-Frequency Data”, in: “Applied Quantitative Finance”, 2nd, W. Härdle, N. Hautsch and L. Overbeck (eds.), Springer, Berlin.
working paper version

Luc Bauwens and Nikolaus Hautsch (2008): “Modelling Financial High Frequency Data Using Point Processes“, in: “Handbook of Financial Time Series”, T. G. Andersen, R. A. Davis, J.-P. Kreiss and T. Mikosch (eds.), Springer.
working paper version

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